Robust portfolio selection based on copula change analysis
Yingwei Han, Ping Li, Jie Li, and Sanmang Wu
| Year of publication: |
2020
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|---|---|
| Authors: | Han, Yingwei ; Li, Ping ; Li, Jie ; Wu, Sanmang |
| Published in: |
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets. - Abingdon, Oxon : Routledge, Taylor & Francis, ISSN 1558-0938, ZDB-ID 2095312-4. - Vol. 56.2020, 15, p. 3635-3645
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| Subject: | Change point analysis | dynamic copula | robust portfolio selection | WCVaR | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1540496X.2019.1567262 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012423664